21 citations · 31 across the 15 of their papers we have counts for
3 papers · 1 filter
Swimming with Wealthy Sharks: Longevity, Volatility and the Value of Risk Pooling
Moshe A. Milevsky
Who {\em values} life annuities more? Is it the healthy retiree who expects to live long and might become a centenarian, or is the unhealthy retiree with a short life expectancy mo…
The implied longevity curve: How long does the market think you are going to live?
Moshe A. Milevsky, Thomas S. Salisbury, Alexander Chigodaev
We use life annuity prices to extract information about human longevity using a framework that links the term structure of mortality and interest rates. We invert the model and per…
Retirement spending and biological age
Huaxiong Huang, Moshe A. Milevsky, Thomas S. Salisbury
We solve a lifecycle model in which the consumer's chronological age does not move in lockstep with calendar time. Instead, biological age increases at a stochastic non-linear rate…